Price discovery and information efficiency of ETFs between emerging markets and mature markets

• Main Authors: Yu-HsinChang, 張毓欣
• Other Authors: Ming-Yuan Li
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/85197416817900426224

碩士 === 國立成功大學 === 財務金融研究所碩士在職專班 === 102 === This study investigates price discovery and information transformation of ETFs between emerging markets and mature markets. South Africa, Mexico, China and Taiwan are representative of emerging markets. Canada, Japan, United Kingdom and Sweden are representative of mature markets. We use unit root test, vector autoregression modal (VAR), Granger causality test, impulse response function, cointegration test and vector error correction modal (VECM) as methodology. The study period covers four and half year form July 1st 2008 to December 31 2012. Under VAR modal, ETFs which is traded in US leads ETFs which is traded in domestic country in the short run. By applying to Granger causality test, the interrelationship between ETFs which is traded in US and which is traded in domestic country is bi-directional in Canada, Mexico, Sweden and Taiwan. However the interrelationship between ETFs which is traded in US and which is traded in domestic country is unidirectional in South Africa, Japan, China and United Kingdom. No matter where the impulse response come from, the information transformation is the same in Japan, Sweden and Taiwan. However, no matter where the impulse response come from, the information transformation is better in US than in domestic country in the case of South Mexico and Canada. In emerging (mature) market, the tendency to correct disequilibrium situation depends on ETFs which is traded in domestic country (US).